Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan

Abstract This article aims to examine the transmission of return and volatility spillover from banking industry other industries in Pakistan. The study uses daily stock prices 2005 2018 financial non‐financial sectors listed at Pakistan exchange. KSE‐100 index is used as a basis for selection he companies. ARMA‐GARCH mean model measure spillover. time‐varying conditional correlation asymmetric effect are explored using DDC ADDC models. Return found across various during period, indicating limited evidence diversification. DCC‐GARCH shows that there behaviour data.